Markov Chains and Invariant Probabilities: 211 (Progress in Mathematics) - Tapa dura

Lasserre, Jean Bernard; Hernández-Lerma, Onésimo; Wichmann, Siegfried

 
9783764370008: Markov Chains and Invariant Probabilities: 211 (Progress in Mathematics)
Tapa dura
ISBN 10: 3764370009 ISBN 13: 9783764370008
Editorial: Birkhäuser, 2003

Sinopsis

This book is about discrete-time, time-homogeneous, Markov chains (Mes) and their ergodic behavior. To this end, most of the material is in fact about stable Mes, by which we mean Mes that admit an invariant probability measure. To state this more precisely and give an overview of the questions we shall be dealing with, we will first introduce some notation and terminology. Let (X,B) be a measurable space, and consider a X-valued Markov chain ~. = {~k’ k = 0, 1, ... } with transition probability function (t.pJ.) P(x, B), i.e., P(x, B) := Prob (~k+1 E B I ~k = x) for each x E X, B E B, and k = 0,1, .... The Me ~. is said to be stable if there exists a probability measure (p.m.) /.l on B such that (*) VB EB. /.l(B) = Ix /.l(dx) P(x, B) If (*) holds then /.l is called an invariant p.m. for the Me ~. (or the t.p.f. P).

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De la contraportada

This book concerns discrete-time homogeneous Markov chains that admit an invariant probability measure. The main objective is to give a systematic, self-contained presentation on some key issues about the ergodic behavior of that class of Markov chains. These issues include, in particular, the various types of convergence of expected and pathwise occupation measures, and ergodic decompositions of the state space. Some of the results presented appear for the first time in book form. A distinguishing feature of the book is the emphasis on the role of expected occupation measures to study the long-run behavior of Markov chains on uncountable spaces.

The intended audience are graduate students and researchers in theoretical and applied probability, operations research, engineering and economics.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Birkhäuser
Año de publicación
2003
Idioma
Inglés
ISBN 10 
3764370009
ISBN 13 
9783764370008
Encuadernación
Tapa dura
Número de páginas
228
Contacto del fabricante
no disponible
Persona responsable
no disponible

Otras ediciones populares con el mismo título

9783034894081: Markov Chains and Invariant Probabilities: 211 (Progress in Mathematics)

Edición Destacada

ISBN 10:  3034894082 ISBN 13:  9783034894081
Editorial: Birkhäuser, 2012
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